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- Beijing Academy of Artificial IntelligenceCN102 papers
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Showing 2018Show all
3 papers · 1 filter
math.PR2018
Optimal probabilities and controls for reflecting diffusion processes
Zhongmin Qian, Xingcheng Xu
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting…
math.PR2018★ 1 cited
Lévy Area Analysis and Parameter Estimation for fOU Processes via Non-Geometric Rough Path Theory
Zhongmin Qian, Xingcheng Xu
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem,…
math.PR2018★ 2 cited
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
Zhongmin Qian, Xingcheng Xu
This paper develops an Itô-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons'…